Asian Journal of Management

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Exploring the Efficiency of Indian Capital Market with Reference to S and P BSE Bankex Stocks


Affiliations
1 Assistant Professor, Bharathidasan School of Management, Bharathidasan University, Tiruchirappalli - 620 024, Tamil Nadu, India
     

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The investments in stock markets largely depend on the flow of market information. The information flow has got its effect in the returns of the investors. In the market efficiency analysis, it is evident that the investors cannot earn abnormal returns as the market information is available to everyone. Banking sector is considered as one of the major indicator of economic development. The performance of S and P BSE Bankex over the study period has witnessed significant volatility as many major reforms were initiated by the Reserve Bank of India. Hence the present study analysed the weak form efficiency of Indian Banking sector over the period April 2007 to March 2013 using various econometric models namely Stationarity test, Runs Test and Autocorrelation analysis. The findings evidenced the share prices of selected sample banking companies were independent. The results of the study were helpful in deciding the timing of investments in banking stocks for investors.

Keywords

Autocorrelation, Banking stocks, Market Efficiency, Runs Test and Volatility.
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  • Working Papers:

  • Ankita Mishra et al (2014). "The Random-Walk Hypothesis on the Indian Stock Market". Monash University- Business and Economics Discussion paper 07/14.

  • Text Books:

  • Chris Brooks. (2008). Introductory Econometrics for Finance, (2nd Edition), Cambridge University Press, The ICMA Centre, University of Reading, London.

  • Roman Kozhan. (2010). Financial Econometrics with E-Views. Ventus Publishing Aps, Denmark.

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  • Exploring the Efficiency of Indian Capital Market with Reference to S and P BSE Bankex Stocks

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Authors

M. Babu
Assistant Professor, Bharathidasan School of Management, Bharathidasan University, Tiruchirappalli - 620 024, Tamil Nadu, India

Abstract


The investments in stock markets largely depend on the flow of market information. The information flow has got its effect in the returns of the investors. In the market efficiency analysis, it is evident that the investors cannot earn abnormal returns as the market information is available to everyone. Banking sector is considered as one of the major indicator of economic development. The performance of S and P BSE Bankex over the study period has witnessed significant volatility as many major reforms were initiated by the Reserve Bank of India. Hence the present study analysed the weak form efficiency of Indian Banking sector over the period April 2007 to March 2013 using various econometric models namely Stationarity test, Runs Test and Autocorrelation analysis. The findings evidenced the share prices of selected sample banking companies were independent. The results of the study were helpful in deciding the timing of investments in banking stocks for investors.

Keywords


Autocorrelation, Banking stocks, Market Efficiency, Runs Test and Volatility.

References